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永续期货流动性风险的滑点风险度量

文章 arXiv papers · 作者: Otar Sepper
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总结

本文介绍滑点风险（SaR），一种利用当前永续期货订单簿估算清算执行风险的框架。该框架定义了三个相关指标：横截面滑点分位数、分布尾部的预期滑点，以及以美元计价的尾部滑点总额。不同于回顾性收益风险指标，这些指标旨在描述基于当前市场深度执行清算的成本。

该框架还对依赖少数做市商的流动性加入集中度调整，并提出将所得指标映射为交易所风险管理的资本要求。相关论述援引对Hyperliquid订单簿的分析，包括一次清算级联，作为SaR能够提前指示系统性压力的证据。文中还提到该框架与保险基金及自动减仓设计的关联。然而，所提供的文本没有数值发现、校准细节或独立验证，因此其预测说法及对其他交易平台的适用性仍不确定。

核心观点

  • SaR利用当前永续期货订单簿状况估算清算滑点。
  • 其指标涵盖滑点分位数、预期尾部滑点和汇总尾部成本。
  • 集中度调整反映了对少数流动性提供者的依赖。
  • 该框架提出利用相关指标为资本要求提供参考。
  • 所提供的描述声称该方法具有预测价值，但未提供数值结果和验证细节。

标签

永续合约市场微观结构交易执行风险管理加密资产
全文
# Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges


# Slippage-at-Risk (SaR): A Forward-Looking Liquidity Risk Framework for Perpetual Futures Exchanges









We introduce $\textbf{Slippage-at-Risk (SaR)}$, a quantitative framework for measuring liquidity risk in perpetual futures exchanges. Unlike backward-looking metrics such as Value-at-Risk computed on historical returns or realized deficit distributions, SaR provides a \emph{forward-looking} assessment of liquidation execution risk derived from current order book microstructure. The framework comprises three complementary metrics: $SaR(α)$, the cross-sectional slippage quantile; $ESaR(α)$, the expected slippage in the distributional tail; and $TSaR(α)$, the aggregate dollar-denominated tail slippage. We extend the base framework with a \emph{concentration adjustment} that penalizes fragile liquidity structures where a small number of market makers dominate quote provision. Drawing on recent work by Chitra et al. (2025) on autodeleveraging mechanisms and insurance fund optimization, we establish a direct mapping from SaR metrics to optimal capital requirements. Empirical analysis using Hyperliquid order book data, including the October 10, 2025 liquidation cascade, demonstrates SaR's predictive validity as a leading indicator of systemic stress. We conclude with practical implementation guidance and discuss philosophical implications for risk management in decentralized financial systems.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。